| Close | |
|---|---|
| Annualized Return | -0.0140 |
| Annualized Std Dev | 0.2147 |
| Annualized Sharpe (Rf=0%) | -0.0650 |
| Close | |
|---|---|
| Observations | 4001.0000 |
| NAs | 1.0000 |
| Minimum | -0.1485 |
| Quartile 1 | -0.0050 |
| Median | 0.0005 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | -0.0001 |
| Quartile 3 | 0.0059 |
| Maximum | 0.1359 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0004 |
| UCL Mean (0.95) | 0.0005 |
| Variance | 0.0002 |
| Stdev | 0.0135 |
| Skewness | -0.9487 |
| Kurtosis | 20.2467 |
| Close | |
|---|---|
| Semi Deviation | 0.0102 |
| Gain Deviation | 0.0095 |
| Loss Deviation | 0.0120 |
| Downside Deviation (MAR=210%) | 0.0147 |
| Downside Deviation (Rf=0%) | 0.0101 |
| Downside Deviation (0%) | 0.0101 |
| Maximum Drawdown | 0.5593 |
| Historical VaR (95%) | -0.0185 |
| Historical ES (95%) | -0.0340 |
| Modified VaR (95%) | -0.0201 |
| Modified ES (95%) | -0.0340 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-04-04 | 2009-03-09 | NA | -0.5593 | 3516 | 486 | NA |
| 2005-07-29 | 2005-12-21 | 2006-10-13 | -0.1373 | 306 | 102 | 204 |
| 2007-02-16 | 2007-03-05 | 2007-04-03 | -0.0964 | 32 | 11 | 21 |
| 2006-12-15 | 2007-01-23 | 2007-02-14 | -0.0416 | 40 | 24 | 16 |
| 2006-10-24 | 2006-11-28 | 2006-12-05 | -0.0389 | 30 | 25 | 5 |
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2005 | NA | NA | NA | 0 | 0 | 0.8 | -0.1 | 1 | -0.2 | -0.3 | 1.8 | -0.5 | 2.4 |
| 2006 | -0.2 | 1.1 | 0.9 | 0.7 | 0.5 | 0.5 | -0.7 | -0.1 | 0.9 | -0.3 | -0.4 | -0.1 | 2.9 |
| 2007 | 1 | -0.2 | -0.5 | 0.3 | 0.7 | -0.5 | 0 | 2.7 | 0.9 | -1.4 | 1.2 | -0.7 | 3.6 |
| 2008 | 1.3 | -1.9 | 2.9 | 1.3 | 1.4 | -0.7 | -1.1 | -0.8 | 3.8 | 2.5 | -4.9 | -1.6 | 1.7 |
| 2009 | 0.1 | -0.9 | 0.4 | -0.4 | 0.7 | -0.9 | 1.6 | -2.8 | -2.4 | -2 | 0 | -1.2 | -7.6 |
| 2010 | 1.4 | 0.4 | 1.2 | -0.8 | -0.8 | -1.9 | 0.2 | 2.2 | -0.1 | -0.4 | 0.1 | 0.1 | 1.5 |
| 2011 | 1.3 | -0.9 | 0.5 | 0.8 | -1.2 | 1.1 | 0.5 | -0.5 | -2.8 | -2 | -0.2 | -0.2 | -3.6 |
| 2012 | 0.7 | 1.3 | 1.3 | 0.1 | -1.6 | 1.9 | 0.4 | 0.3 | 0.5 | 1.3 | -0.3 | 1.4 | 7.3 |
| 2013 | 0.2 | 0.5 | -0.4 | -0.5 | -1.8 | 1.4 | 1.1 | 0.1 | 1.2 | -0.2 | 0.8 | -1.3 | 1 |
| 2014 | -0.5 | -0.1 | 0.6 | -0.2 | 0.2 | 0.4 | -0.9 | -0.1 | -1 | 1 | -0.9 | -3.3 | -4.5 |
| 2015 | -1.2 | -0.4 | -0.4 | 0.9 | 0.1 | 0.9 | 0.1 | -2.7 | 0 | -0.4 | 0.6 | -0.6 | -3.3 |
| 2016 | -0.1 | 1.5 | 0.3 | -0.7 | 0.4 | -0.1 | -0.3 | -0.2 | 1.3 | -0.2 | 0.4 | 0.1 | 2.4 |
| 2017 | 0.2 | 0.7 | 0.1 | 0.4 | 0.6 | 0.8 | 0.6 | 0.2 | 0.6 | 0.2 | -0.3 | 0 | 4.1 |
| 2018 | -0.7 | -0.8 | 1.5 | 0.1 | -2 | 1.9 | -0.1 | -0.8 | 0.6 | 1.1 | 1.6 | 2 | 4.4 |
| 2019 | -0.7 | 0.4 | 0 | 0.1 | -1.6 | 0.2 | -0.8 | 0.7 | -0.6 | 0.6 | -0.2 | 0.2 | -1.9 |
| 2020 | -1.2 | -3.2 | -5.1 | -1.8 | 1.2 | 0.4 | -0.3 | 0.6 | 1.3 | -1.5 | 1.2 | 0.3 | -7.9 |
| 2021 | 1.2 | 1.6 | 0.4 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 3.2 |
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2005-04-27 20 SPY 116. 0.0039 1.63e-2 -0.0076 -0.0135 0.0118 0.0769 -0.192 GLD 43.2 -0.0101 -0.0046
2 2005-04-28 20.0 SPY 114. -0.0125 -1.56e-2 -0.0337 -0.0275 0.0122 0.0687 -0.206 GLD 43 -0.0046 -0.0044
3 2005-04-29 20.0 SPY 116. 0.0136 1.60e-3 -0.0187 -0.0143 0.0351 0.0732 -0.186 GLD 43.4 0.0081 -0.0009
4 2005-05-02 20.0 SPY 116. 0.0056 6.00e-4 -0.0088 -0.0149 0.049 0.0661 -0.214 GLD 42.9 -0.0108 -0.0129
5 2005-05-03 20 SPY 117. 0.0017 1.22e-2 -0.0088 -0.0194 0.0397 0.0721 -0.204 GLD 42.8 -0.0028 -0.0202
6 2005-05-04 20 SPY 118. 0.0077 1.60e-2 -0.00580 -0.0148 0.0485 0.0922 -0.195 GLD 42.9 0.0033 -0.0069
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>